A MATHEMATICAL APPROACH TO ORDER BOOK MODELING

DOI10.1142/S0219024913500258zbMath1292.91197arXiv1010.5136MaRDI QIDQ2853371

Aymen Jedidi, Frederic Abergel

Publication date: 21 October 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.5136

zbMATH Keywords

Markov chainstochastic stabilitybid-ask spreadgeometric mixingagent-based modelinglimit order bookorder flowFCLT

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (31)

Statistical inference for ergodic point processes and application to limit order book ⋮ A one-level limit order book model with memory and variable spread ⋮ ON BOUNCING GEOMETRIC BROWNIAN MOTIONS ⋮ Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ Long-Time Behavior of a Hawkes Process--Based Limit Order Book ⋮ Modelling intensities of order flows in a limit order book ⋮ Order book model with herd behavior exhibiting long-range memory ⋮ Optimal market dealing under constraints ⋮ Optimal Liquidity-Based Trading Tactics ⋮ High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model ⋮ Global order routing on exchange networks ⋮ Limits of Limit-Order Books ⋮ Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework ⋮ STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL ⋮ Scaling limit of a limit order book model via the regenerative characterization of Lévy trees ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS ⋮ Clearing price distributions in call auctions ⋮ Semi-Markov Model for Market Microstructure ⋮ The order book as a queueing system: average depth and influence of the size of limit orders ⋮ Variable diffusion in stock market fluctuations ⋮ Second order approximations for limit order books ⋮ Inventory Accumulation with $k$ Products ⋮ Optimal inventory management and order book modeling ⋮ Confidence interval for correlation estimator between latent processes ⋮ Estimation of Correlation Between Latent Processes ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ Deep learning for limit order books ⋮ Disentangling and quantifying market participant volatility contributions ⋮ On the forward algorithm for stopping problems on continuous-time Markov chains ⋮ Dynamic optimal execution in a mixed-market-impact Hawkes price model

Cites Work

• Zero-intelligence realized variance estimation.
• Stochastic-Process Limits
• A Stochastic Model for Order Book Dynamics
• Stability of Markovian processes II: continuous-time processes and sampled chains
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Markov Chains and Stochastic Stability
• Stability of Markovian processes I: criteria for discrete-time Chains
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Analyzing and modeling 1+1d markets

This page was built for publication: A MATHEMATICAL APPROACH TO ORDER BOOK MODELING